22 lines
824 B
Python
22 lines
824 B
Python
from pandas import DataFrame, Series
|
|
from daily_data import get_daily_data
|
|
|
|
def signals(data: DataFrame) -> Series:
|
|
"""
|
|
Generate long signals based on the Decline / Advance Ratio strategy.
|
|
|
|
Returns a Series with 'L' for long signals and 'N' for no signal.
|
|
"""
|
|
above_200_ma = data['Close'] > data['Close'].rolling(window = 200).mean()
|
|
|
|
start_date = data['Date'].min()
|
|
end_date = data['Date'].max()
|
|
advances = get_daily_data(symbol = 'IINA.Z', start_date = start_date, end_date = end_date)
|
|
declines = get_daily_data(symbol = 'IIND.Z', start_date = start_date, end_date = end_date)
|
|
|
|
ratio = declines['Close'] / advances['Close']
|
|
ratio_greater_than_2 = ratio >= 2
|
|
|
|
signals = Series('N', index = data.index)
|
|
signals[above_200_ma & ratio_greater_than_2] = 'L'
|
|
return signals |